Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0417
Annualized Std Dev 0.2192
Annualized Sharpe (Rf=0%) 0.1902

Row

Daily Return Statistics

Close
Observations 5091.0000
NAs 1.0000
Minimum -0.1198
Quartile 1 -0.0050
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0062
Maximum 0.1248
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0138
Skewness -0.1680
Kurtosis 10.7697

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0100
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.6966
Historical VaR (95%) -0.0213
Historical ES (95%) -0.0341
Modified VaR (95%) -0.0201
Modified ES (95%) -0.0297
From Trough To Depth Length To Trough Recovery
2000-10-02 2009-03-09 2014-11-21 -0.6966 3501 2062 1439
2020-02-20 2020-03-23 2020-07-06 -0.3156 95 23 72
2018-10-02 2018-12-24 2019-04-23 -0.2095 139 58 81
2015-11-04 2016-02-11 2016-07-12 -0.1374 172 68 104
2015-07-21 2015-08-25 2015-11-02 -0.1179 74 26 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA NA NA NA -2.6 -0.8 -0.7 -4.1
2001 -0.2 -5.3 -0.2 2.1 -0.4 1.1 0.8 1.2 -1.4 1.4 0.3 -0.6 -1.3
2002 -0.3 2.4 -0.1 0.3 0.7 -0.1 -0.3 -1.2 3.6 0.4 0.2 1.8 7.5
2003 0.6 1.1 -0.1 -0.4 1.1 1 -1.7 1.1 1.6 0.4 0.6 0.2 5.6
2004 0 0.8 -0.1 -0.3 0 -1.5 0.3 0.7 1.7 0.1 1.6 -0.2 3.1
2005 0.5 0.7 -1.4 0 0.4 0 0.1 0 0.5 -1.1 1.4 -0.5 0.6
2006 -0.4 1.2 -0.2 -0.1 1.6 0.2 -0.7 0.4 -0.2 -0.9 -0.6 -0.4 -0.2
2007 0.2 -0.4 0.3 0.1 0.4 -0.2 0.7 1.1 1.3 -1.8 0.1 -0.7 1.2
2008 1.9 -2.6 2.9 1.9 0.7 -0.1 -0.8 -1.3 -1.5 1.4 -7.4 1.7 -3.5
2009 -2.4 -1 1.5 0.2 3.4 0.1 0 -1.5 -2.5 -2.5 2 -1 -4
2010 1 1.4 0 -1.7 -1.9 -0.3 0.2 3.1 0 0.3 2.1 -0.2 4
2011 1.4 -1.4 0.3 0.1 -1.4 1.3 -0.5 -1.1 -2 -2.6 0.4 -0.2 -5.6
2012 0.7 0.5 0.3 0.7 -2.3 2.4 -0.5 0.5 0.3 1.1 0 1.9 5.8
2013 0.9 0.5 -0.6 -0.7 -1.5 0.9 1.3 -0.4 0.8 0.1 0.1 0.6 2
2014 -0.7 0.1 1 0.1 0.2 1 -0.2 0.2 -1.4 1.2 -0.9 -0.8 -0.4
2015 -1.3 -0.4 -0.5 1.3 0.2 0.4 -0.1 -2.7 0.1 -0.5 1 -1.1 -3.6
2016 0.2 2.6 0.8 -0.4 0.1 0.4 0.1 0.1 0.6 -0.9 -1.1 -0.6 1.9
2017 0.3 1.2 -0.1 0.4 0.5 0.2 0.3 0.1 0.4 0 -0.3 -0.4 2.6
2018 -0.4 -1.5 1.7 0.7 1.3 0.1 0.3 0.1 0.3 1.2 0.9 1 5.9
2019 0 0.8 1 -1 -1.3 0.9 -0.4 -0.1 -1.2 0.6 -0.4 0.2 -1.1
2020 -1.7 0.2 -4.4 -2.6 0.6 1 1.5 1.4 0.9 -1.8 1.2 0.3 -3.6
2021 2.2 2.6 0.3 NA NA NA NA NA NA NA NA NA 5.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart